Stochastic equations of non-negative processes with jumps

We study stochastic equations of non-negative processes with jumps. The existence and uniqueness of strong solutions are established under Lipschitz and non-Lipschitz conditions. Under suitable conditions, the comparison properties of solutions are proved. Those results are applied to construct continuous state branching processes with immigration as strong solutions of stochastic equations.

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Year of publication:	2010
Authors:	Fu, Zongfei ; Li, Zenghu
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 3, p. 306-330
Publisher:	Elsevier
Keywords:	Stochastic equation Strong solution Pathwise uniqueness Comparison theorem Non-Lipschitz condition Continuous state branching process Immigration

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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